Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0794 |
| Annualized Std Dev | 0.2020 |
| Annualized Sharpe (Rf=0%) | 0.3933 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3583.0000 |
| NAs | 1.0000 |
| Minimum | -0.1205 |
| Quartile 1 | -0.0042 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1024 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0127 |
| Skewness | -0.2736 |
| Kurtosis | 12.6105 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0093 |
| Gain Deviation | 0.0092 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0138 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.5508 |
| Historical VaR (95%) | -0.0180 |
| Historical ES (95%) | -0.0314 |
| Modified VaR (95%) | -0.0183 |
| Modified ES (95%) | -0.0266 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-12 | 2009-03-06 | 2013-02-01 | -0.5508 | 1324 | 344 | 980 |
| 2020-02-20 | 2020-03-23 | 2020-08-17 | -0.3410 | 125 | 23 | 102 |
| 2018-09-21 | 2018-12-24 | 2019-04-05 | -0.1897 | 135 | 65 | 70 |
| 2015-05-22 | 2016-02-11 | 2016-07-11 | -0.1411 | 286 | 183 | 103 |
| 2018-01-29 | 2018-02-08 | 2018-07-25 | -0.1030 | 124 | 9 | 115 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.7 | -0.1 | -0.9 |
| 2007 | 0.1 | -0.5 | 0.2 | 0.2 | 0.2 | -0.4 | -0.9 | 1.4 | 1.3 | -1.3 | 0.5 | -0.8 | -0.2 |
| 2008 | 1.8 | -2.7 | 3 | 2.1 | 0.1 | -0.6 | -1.4 | -0.4 | -5.1 | 3.8 | -8.4 | 1.4 | -7 |
| 2009 | -2.5 | -2 | 2.4 | -0.4 | 4.1 | 0.5 | -0.3 | -2.1 | -2.3 | -2.5 | 1 | -1 | -5.3 |
| 2010 | 1.3 | 1.2 | 0.2 | -1.5 | -1.6 | -1.8 | -0.3 | 3 | -0.2 | -0.5 | 1.8 | -0.1 | 1.4 |
| 2011 | 1.5 | -1.3 | 0.5 | -0.1 | -1.4 | 1.5 | -1.1 | -0.9 | -1 | -3.5 | -0.1 | -0.1 | -6 |
| 2012 | 1 | 0.5 | 0.7 | 0.6 | -2.5 | 2.2 | -0.3 | 0.3 | 0.1 | 1.3 | -0.1 | 1.5 | 5.4 |
| 2013 | 0.9 | 0.5 | -0.6 | -0.7 | -1.2 | 0.6 | 1.3 | -0.3 | 0.7 | 0.2 | 0.1 | 0.4 | 1.9 |
| 2014 | -0.4 | 0.2 | 0.8 | 0.1 | 0.1 | 0.7 | -0.4 | 0.2 | -1.3 | 1.1 | -0.7 | -1 | -0.6 |
| 2015 | -1.5 | -0.3 | -0.4 | 1.2 | 0.3 | 0.9 | 0.1 | -3 | -0.4 | -0.4 | 1 | -1.1 | -3.5 |
| 2016 | 0.2 | 2.4 | 0.9 | -0.4 | 0 | 0.3 | -0.2 | 0 | 0.9 | -0.6 | -0.6 | -0.4 | 2.5 |
| 2017 | -0.2 | 1.4 | -0.1 | 0.2 | 0.7 | 0.3 | 0.1 | 0.3 | 0.3 | 0.2 | -0.3 | -0.3 | 2.6 |
| 2018 | 0 | -1.2 | 1.7 | 0.3 | 1.3 | 0.3 | -0.3 | -0.1 | 0.3 | 1 | 1 | 0.8 | 5.3 |
| 2019 | 0.2 | 0.7 | 1.2 | -1.2 | -1.3 | 0.8 | -0.7 | -0.1 | -1.3 | 0.8 | -0.3 | 0.2 | -1.1 |
| 2020 | -1.9 | -0.4 | -4.2 | -2.5 | 0.3 | 0.6 | 0.2 | 0.6 | 0.7 | -0.6 | 1 | 0.7 | -5.6 |
| 2021 | 1.8 | 2.3 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-17 25.3 SPY 140. 3.00e-4 0.0158 0.0264 0.0791 0.127 0.352 0.228 GLD 61.8 0.0077 -0.0114
2 2006-11-21 25.3 SPY 141. 1.00e-3 0.0073 0.0231 0.0838 0.118 0.355 0.225 GLD 62.3 0.0081 0.0104
3 2006-11-22 25.4 SPY 141. 2.00e-3 0.0064 0.022 0.0869 0.116 0.352 0.236 GLD 62.5 0.0037 0.0107
4 2006-11-27 25.0 SPY 138. -1.38e-2 -0.0142 -0.0026 0.0613 0.0888 0.306 0.194 GLD 63.7 0.0031 0.0311
5 2006-11-28 25.0 SPY 139. 4.30e-3 -0.0105 0.008 0.0646 0.101 0.307 0.204 GLD 63.6 -0.002 0.0291
6 2006-11-29 25.2 SPY 140. 1.04e-2 -0.00120 0.0193 0.0751 0.114 0.320 0.239 GLD 63.2 -0.0064 0.0143
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
